TEX Options History — February 2011

In February 2011, TEX traded between $33.70 and $38.30. ATM implied volatility averaged 44.7%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.9% (HV 20d: 41.8%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.09.

Notable Days

  • 2011-02-09: Highest Volume — 7,081 contracts
  • 2011-02-10: Largest IV drop — 38.4% change
  • 2011-02-09: Highest IV Rank — 69.8%
  • 2011-02-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.10$33.70$38.30$34.96$33.75
Max Pain$33.84$31.00$35.00$31.00$35.00
ATM IV44.7%36.7%63.0%46.4%41.2%
Expected Move12.1%10.5%13.4%13.3%11.8%
HV 20d41.8%34.2%48.0%46.6%47.0%
HV 60d37.5%35.7%39.6%38.1%38.7%
IV Rank27.3%8.7%69.8%31.2%19.1%
IV Percentile43.6%7.1%94.0%58.7%30.6%
Term Structure-0.9%-4.9%1.6%-4.8%1.6%
VWIV42.6%35.9%48.2%48.2%41.5%
Skew 25d5.4%3.9%6.6%4.4%6.0%
Skew 10d11.6%8.1%15.6%12.1%11.9%
Call IV 25d40.3%34.2%45.5%45.1%40.0%
Put IV 25d45.7%39.8%50.1%49.5%45.9%
Bid-Ask Spread %15.9611.5920.2911.5917.58
Gamma HHI0.100.070.190.100.07
Net GEX448.9K-280.7K944.5K458.7K508.3K
Net DEX-56.7M-86.0M-32.5M-50.5M-32.5M
Net VEX-247.1K-292.3K-222.5K-222.5K-292.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.143.671.830.64
Total Volume3,579.0536047,0817,001604
Total OI57,772.78947,61469,34547,61457,495

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$34.96$31.0046.4%13.3%46.6%31.2%48.2%4.4%-4.8%458.7K-50.5M-222.5K1.8311.59N/AN/A2,4744,52723,35124,263
2011-02-02$35.91$31.0046.8%13.4%43.6%32.2%47.0%3.9%-4.6%441.1K-56.0M-224.7K0.5516.74N/AN/A2,5411,40024,37125,127
2011-02-03$36.52$31.0045.9%13.2%43.4%30.1%48.0%5.1%-4.9%484.9K-59.4M-229.1K1.1311.85N/AN/A58566325,19026,135
2011-02-04$36.70$33.0048.4%12.1%41.4%35.9%43.4%6.2%-1.2%464.7K-60.4M-227.9K3.0612.85N/AN/A9412,88025,37926,634
2011-02-07$36.57$33.0056.9%12.8%40.7%55.7%44.8%5.8%-1.7%220.7K-56.4M-238.3K2.2911.77N/AN/A2,0054,58425,63428,815
2011-02-08$36.49$33.0057.2%13.0%40.8%56.3%45.2%6.6%-2.4%108.1K-54.5M-245.3K0.1814.04N/AN/A1,98035926,75730,936
2011-02-09$36.06$33.0063.0%13.3%41.6%69.8%46.2%6.3%-3.6%261.8K-53.8M-249.9K3.6720.29N/AN/A1,5165,56528,17731,128
2011-02-10$36.06$34.0038.8%11.1%41.7%13.5%38.9%5.9%0.6%-280.7K-53.5M-247.5K1.6917.27N/AN/A2,4044,05828,78334,476
2011-02-11$36.56$34.0037.8%10.8%37.9%11.3%38.6%5.0%0.4%-37.3K-60.9M-249.1K0.4014.43N/AN/A85734029,67834,708
2011-02-14$37.50$35.0040.0%11.5%38.4%16.4%40.9%5.0%0.5%488.4K-73.1M-234.5K0.2716.65N/AN/A2,00154629,95033,904
2011-02-15$36.88$35.0039.8%11.4%38.5%15.9%38.6%5.1%-0.1%393.4K-67.4M-239.1K0.7216.94N/AN/A1,6971,21630,40134,146
2011-02-16$38.02$35.0038.5%11.0%35.2%12.8%39.0%5.8%0.9%882.4K-80.7M-236.5K0.5818.40N/AN/A72041831,48435,147
2011-02-17$38.30$35.0038.3%11.0%34.2%12.4%38.5%4.5%0.7%944.5K-83.9M-233.2K0.2216.71N/AN/A2,97764731,68535,209
2011-02-18$38.17$35.0036.7%10.5%34.5%8.7%35.9%5.6%1.6%891.6K-86.0M-248.1K0.1417.61N/AN/A3,08444533,95035,395
2011-02-22$35.42$35.0043.0%12.3%45.7%23.2%43.1%5.2%-0.6%677.3K-43.9M-257.9K0.7519.41N/AN/A1,7011,27927,39222,441
2011-02-23$34.16$35.0045.1%12.9%48.0%28.2%45.7%6.0%0.1%541.6K-35.4M-268.2K0.8515.69N/AN/A2,0791,75728,40223,345
2011-02-24$33.70$35.0044.1%12.6%47.5%25.9%44.8%5.8%0.4%505.8K-32.5M-269.4K0.8413.67N/AN/A1,8071,51828,87323,845
2011-02-25$34.19$35.0041.8%12.0%47.7%20.6%40.5%5.1%0.8%573.1K-36.1M-281.3K0.8619.69N/AN/A2,0611,76629,91025,167
2011-02-28$33.75$35.0041.2%11.8%47.0%19.1%41.5%6.0%1.6%508.3K-32.5M-292.3K0.6417.58N/AN/A36923530,89726,598